Nataliya Shchestyuk

Articles in journals

• Shchestyuk, N. , Boichenko, V. & Florenko, A. (2023). Interpolation problems for random fields on Sierpinski’s carpet. Mohyla Mathematical Journal.
• Leonenko, N. N. , Liu, A. & Shchestyuk, N. (2023). SupOU-based and Related Fractal Activity Time Models for Risky Assets with Dependence. Methodology and Computing in Applied Probability.
• Pauk, V. , Petrenko, O. & Shchestyuk, N. (2022). Two Approaches for Option Pricing under Illiquidity. Mohyla Mathematical Journal, 5, 38-45.
• Shchestyuk, N. & Tyshchenko, O. (2021). Monte-Carlo method for option pricing in sub-diffusive arithmetic models. Bulletin of Taras Shevchenko National University of Kyiv (2), 85-95.
• Solomanchuk, G. & Shchestyuk, N. (2021). Risk Modelling Approaches for Student-like Models with Fractal Activity Time. Mohyla Mathematical Journal, 4, 28-33.
• Boluh, K. & Shchestyuk, N. (2020). Simulating Stochastic Diffusion Processes and Processes with “Market” Time. Mohyla Mathematical Journal, 3, 25-30.
• Castelli, F. , Leonenko, N. N. & Shchestyuk, N. (2017). Student-like models for risky asset with dependence. Stochastic Analysis and Applications, 35 (3), 452-464.
• Nazarenko, Y. & Shchestyuk, N. (2017). Безризиковий портфель для FAT моделі Стьюдент-типу для ризикових базових активів: [The riskless portfolio for the Student-like fractal activity time model for a risky asset with dependence]. Наукові записки НаУКМА. Фізико-математичні науки, 201, 12-17.
• Moklyachuk, M. , Shchestyuk, N. & Florenko, A. S. (2016). Interpolation problems for random fields from observations in perforated plane. Mathematical and computer modelling. Series: Technical sciences, 14, 83-97.
• Shchestyuk, N. (2014). Ocinka spravedlyvoi ciny opcioniv v modifikacijah modeli Hejdy-Leonenka: [Evaluating of Fair Price of Options in modifications of Heyde-Leonenko models: Mathematical and computer modelling]. Математичне та комп'ютерне моделювання. Сер.: Фізико-математичні науки, 11, 223-236.
• Shchestyuk, N. & Farfur, A. (2013). The Fair Price of European Options for Inverse Gamma Diffusion Pricing Models. Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics, 139, 30-33.
• Shchestyuk, N. (2012). Inverse Gamma Diffusions Pricing Models. Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics, 113, 23-27.
• Moklyachuk, M. & Shchestyuk, N. (2003). Extrapolation of random fields observed with noise. Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (4), 12-17.
• Moklyachuk, M. & Shchestyuk, N. (2003). On robust estimates of random fields. Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics, 32-41.
• Moklyachuk, M. & Shchestyuk, N. (2003). Robust estimates of functionals of homogeneous random fields. Teoriâ slučajnyh processov : Theory of Stochastic Processes, 9 (3-4), 101-113.
• Moklyachuk, M. & Shchestyuk, N. (2002). On the filtering problem for random fields. Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (5), 116-125.

Chapters in books

• Shchestyuk, N. & Tyshchenko, S. (2022). Option Pricing and Stochastic Optimization. In: Anatoliy Malyarenko; Ying Ni; Milica Rančić; Sergei Silvestrov, Stochastic Processes, Statistical Methods, and Engineering Mathematics: SPAS 2019, Västerås, Sweden, September 30-October 2 (pp. 651-665). . Springer.

Conference papers

• Shchestyuk, N. & Tyshchenko, S. (2023). A PHYSICAL SUB-DIFFUSION APPROACH FOR ILLIQUID MARKETS. In: Paula Ortega Perals,  Dynamics of Socio Economic Systems DySES 2023. Paper presented at DySES 2023 (Dynamics of Socio Economic Systems), University of Almeria, Spain, October 17-20, 2023. (pp. 18-18). Universidad de Almería.
• Shchestyuk, N. , Mazur, S. , Podolskiy, M. & Javed, F. (2023). Parameter estimation for time changed  fractional Brownian motion.  Paper presented at 29th Nordic Conference in Mathematical Statistics (NORDSTAT 2023), Gothenburg, Sweden, June 19-22, 2023.
• Shchestyuk, N. (2023). Subdiffusive option price model with Inverse Gaussian subordinator.  Paper presented at 24th Workshop on Quantitative Finance (QFW2023), Gaeta, Italy, April 20-22, 2023.
• Moklyachuk, M. , Florenko, A. & Shchestyuk, N. (2018). Interpolation problems for correlated random fields from observations in perforated plane. In: Olexander Nakonechnyi; Jaroslav Michálek; Jiří Neubauer; Maria Loseva,  XXXII International Conference PDMU-2018 Proceedings. Paper presented at XXXII International Conference PDMU, Prague, Czech Republic, August 27–31, 2018. (pp. 71-80). Taras Shevchenko National University of Kyiv, Ukraine / University of Defence, Czech Republic.

Manuscripts

• Shchestyuk, N. & Tyshchenko, S. Subdiffusive option price model with Inverse Gaussian subordinator : working paper.